The holographic principle of quantum gravity theory has been applied to the dark energy (DE) problem, and so far three holographic DE models have been proposed: the original holographic dark energy (HDE) model, the agegraphic dark energy (ADE) model, and the holographic Ricci dark energy (RDE) model. In this work, we perform the best-fit analysis on these three models, by using the latest observational data including the Union+CFA3 sample of 397 Type Ia supernovae (SNIa), the shift parameter of the cosmic microwave background (CMB) given by the five-year Wilkinson Microwave Anisotropy Probe (WMAP5) observations, and the baryon acoustic oscillation (BAO) measurement from the Sloan Digital Sky Survey (SDSS). The analysis shows that for HDE, chi(2)(min) = 465.912; for RDE, chi(2)(min) = 483.130; for ADE, chi(2)(min) = 481.694. Among these models, HDE model can give the smallest. chi(2)(min). Besides, we also use the Bayesian evidence (BE) as a model selection criterion to make a comparison. It is found that for HDE, ADE, and RDE, Delta ln BE = -0.86, -5.17, and -8.14, respectively. So, it seems that the HDE model is more favored by the observational data.